We consider semiparametric estimation of the memory parameter in a modelwhich includes as special cases both the long-memory stochasticvolatility (LMSV) and fractionally integrated exponential GARCH(FIEGARCH) models. Under our general model the logarithms of the squaredreturns can be decomposed...

We establish sufficient conditions on durations that arestationary with finite variance and memory parameter $d \in[0,1/2)$ to ensure that the corresponding counting process $N(t)$satisfies $Var N(t) \sim C t^{2d+1}$ ($Cgt;0$) as $t\rightarrow \infty$, with the same memory parameter $d...